Creating an Intranet for internet and network resources management

I want to setup an Intranet that only allows access to certain websites stored on a proxy and DNS server. IF the users want to access the internet they will need password credentials to do so. I have server 2008 along with a cisco wire/wireless nat router that has an html page for router configuration. I like the idea of a proxy for the sole purpose of more manageability and security. Where do I began?